On the Tableau Server there is a thumbnail of each dashboard.
If you have user filters or anything using the USER() function or similar, Tableau cannot generate a generic thumbnail because it needs a user input to generate a view. It is asking you to choose which user to use as that input user.
I have USERNAME ().
If I use myself as thumbnails user, I still see data related to my ID. Shouldn't I see everything as thumbnails user ?
No. You are generating a thumbnail showing data that only your username has access to.